Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration,
normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted.

(b)

Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United
States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted.

(c)

Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.

(d)

Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).

(e)

Illiquid security.

(f)

The coupon payment on these securities is currently in default as of November 30, 2015.

(g)

Security has no maturity date. The date shown represents the next call date.

(h)

Variable rate security. Interest rate disclosed is as of the most recent information available.

(i)

Value is less than $1.

(j)

Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the
disposition of a senior loan.

(k)

Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(l)

All or a portion of this loan is unfunded as of November 30, 2015. The interest rate for fully unfunded term loans is to be determined.

#

Aggregate cost for federal income tax purposes is substantially the same.

See
Notes to Schedule of Investments.

11

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

Schedule of investments (unaudited) (contd)

November 30, 2015

Abbreviations used in this schedule:

AUD

 Australian Dollar

EUR

 Euro

GBP

 British Pound

OJSC

 Open Joint Stock Company

This Schedule of Investments is unaudited and is intended to provide information about the Funds portfolio holdings
as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.

See
Notes to Schedule of Investments.

12

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset High Yield Defined Opportunity Fund Inc. (the Fund) was incorporated in Maryland on July 20, 2010 and is registered as a non-diversified, limited-term, closed-end management
investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Funds primary investment objective is to provide high income. As a secondary investment objective, the Fund will seek capital appreciation.
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in a portfolio of high-yield corporate fixed income securities with varying maturities. The Fund intends to liquidate on
or about September 30, 2025 and distribute substantially all of its net assets to stockholders, after making appropriate provisions for any liabilities of the Fund.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal,
mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer
quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default
rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investments fair value.
Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are
traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are
denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied
are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained
from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally
traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the
Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and
reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the
daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it
deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis;
book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances.
Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time
of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price
and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market
quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market
approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

13

Notes to Schedule of Investments (unaudited) (continued)

GAAP establishes a disclosure hierarchy that categorizes the inputs to
valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with
investing in those securities.

The following is a summary of the inputs used in valuing the Funds
assets and liabilities carried at fair value:

ASSETS

DESCRIPTION

QUOTED PRICES(LEVEL
1)

OTHER SIGNIFICANTOBSERVABLE
INPUTS(LEVEL 2)

SIGNIFICANTUNOBSERVABLEINPUTS(LEVEL 3)

TOTAL

Long-term investments:

Corporate bonds & notes:

Consumer discretionary



$

53,186,685

$

916,792

$

54,103,477

Industrials



45,598,486

684,541

46,283,027

Materials



31,625,785

0

*

31,625,785

Other corporate bonds & notes



187,953,574



187,953,574

Collateralized mortgage obligations



1,562,444



1,562,444

Convertible bonds & notes



305,788

519,002

824,790

Senior loans:

Consumer discretionary



1,064,875

906,750

1,971,625

Consumer staples





446,625

446,625

Health care



1,067,000

765,831

1,832,831

Utilities





898,858

898,858

Other senior loans



2,978,086



2,978,086

U.S. government & agency obligations



2,960,742



2,960,742

Common stocks:

Consumer discretionary





0

*

0

*

Health care





1,103,900

1,103,900

Materials





164,630

164,630

Other common stocks

$

8,837,836





8,837,836

Convertible preferred stocks

148,500





148,500

Preferred stocks

8,139,600





8,139,600

Warrants



354,480



354,480

Total long-term investments

$

17,125,936

$

328,657,945

$

6,406,929

$

352,190,810

Short-term investments

4,612,364





4,612,364

Total investments

$

21,738,300

$

328,657,945

$

6,406,929

$

356,803,174

Other financial instruments:

Futures contracts

$

58,194





$

58,194

Forward foreign currency contracts



$

755,294



755,294

Total other financial instruments

$

58,194

$

755,294



$

813,488

Total

$

21,796,494

$

329,413,239

$

6,406,929

$

357,616,662

LIABILITIES

DESCRIPTION

QUOTED PRICES(LEVEL
1)

OTHER SIGNIFICANTOBSERVABLE
INPUTS(LEVEL 2)

SIGNIFICANTUNOBSERVABLEINPUTS(LEVEL 3)

TOTAL

Other financial instruments:

Futures contracts

$

68,594





$

68,594

Forward foreign currency contracts



$

51,684



51,684

Total

$

68,594

$

51,684



$

120,278



See Schedule of Investments for additional detailed categorizations.

*

Amount represents less than $1.

14

Notes to Schedule of Investments (unaudited) (continued)

The Funds policy is to recognize transfers between levels as of the end
of the reporting period. At November 30, 2015, securities valued at $148,500 were transferred from Level 2 to Level 1 within the fair value hierarchy because of the availability of a quoted price in an active market for an identical investment.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

CORPORATE BONDS & NOTES

INVESTMENTS IN SECURITIES

CONSUMERDISCRETIONARY

INDUSTRIALS

MATERIALS

UTILITIES

CONVERTIBLEBONDS & NOTES

Balance as of August 31, 2015

$

913,255



$

0

*

$

2,356,933



Accrued premiums/discounts

6,190





231



Realized gain (loss)











Change in unrealized appreciation
(depreciation)1

(37,357

)



(134

)

2,197



Purchases

34,704



134





Sales











Transfers into Level 32



$

684,541





$

519,002

Transfers out of Level 33







(2,359,361

)



Balance as of November 30, 2015

$

916,792

$

684,541

$

0

*



$

519,002

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151

$

(37,357

)



$

(134

)





SENIOR LOANS

INVESTMENTS IN SECURITIES

CONSUMERDISCRETIONARY

ENERGY

CONSUMERSTAPLES

HEALTHCARE

UTILITIES

Balance as of August 31, 2015

$

913,500

$

612,758





$

952,961

Accrued premiums/discounts

135

588





571

Realized gain (loss)



38





47

Change in unrealized appreciation
(depreciation)1

(6,885

)

(154,961

)





(52,246

)

Purchases











Sales



(1,702

)





(2,475

)

Transfers into Level 32





$

446,625

$

765,831



Transfers out of Level 33



(456,721

)







Balance as of November 30, 2015

$

906,750



$

446,625

$

765,831

$

898,858

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151

$

(6,885

)







$

(52,246

)

COMMON STOCKS

INVESTMENTS IN SECURITIES

CONSUMERDISCRETIONARY

HEALTHCARE

MATERIALS

WARRANTS

TOTAL

Balance as of August 31, 2015

$

0

*

$

1,103,900

$

161,815

$

354,480

$

7,369,602

Accrued premiums/discounts









7,715

Realized gain (loss)









85

Change in unrealized appreciation
(depreciation)1





2,815



(246,571

)

Purchases









34,838

Sales









(4,177

)

Transfers into Level 32









2,415,999

Transfers out of Level 33







(354,480

)

(3,170,562

)

Balance as of November 30, 2015

$

0

*

$

1,103,900

$

164,630



$

6,406,929

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151





$

2,815



$

(93,807

)

15

Notes to Schedule of Investments (unaudited) (continued)

The Funds policy is to recognize transfers between levels as of the end
of the reporting period.

*

Amount represents less than $1.

1

Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during
the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.

2

Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of
other significant observable inputs.

3

Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of
other significant observable inputs.